Context Display for a Fixed Income Market Model System

Abstract

A system for performing a computer-based method and a computer-based method include: receiving, at a computer-based interface device, data that is determined to be relevant to estimating cost information associated with a transfer of a low liquidity security; calculating, with a computer-based processor coupled to the computer-based interface device, an estimated fair value for the low liquidity security, based on the received data; receiving, at the computer-based interface device, an indication of at least one of an executable bid for the financial instrument and an executable offer for the financial instrument; and presenting, for display at a user interface terminal, a scaled, graphical representation of the estimated fair value for the low liquidity security and at least one of the executable bid for the financial instrument and the executable offer for the financial instrument.

What is claimed: 
     
         1 . A computer-based method comprising:
 receiving, at a computer-based interface device, data that is determined to be relevant to estimating cost information associated with a transfer of a low liquidity security;   calculating, with a computer-based processor coupled to the computer-based interface device, an estimated fair value for the low liquidity security, based on the received data;   receiving, at the computer-based interface device, an indication of at least one of an executable bid for the financial instrument and an executable offer for the financial instrument; and   presenting, for display at a user interface terminal, a scaled, graphical representation of the estimated fair value for the low liquidity security and at least one of the executable bid for the financial instrument and the executable offer for the financial instrument.   
     
     
         2 . The computer-based method of  claim 1  wherein the low liquidity security is a financial instrument traditionally available only over-the-counter,
 wherein calculating the estimated fair value for the low liquidity security comprises calculating an estimated fair price for the financial instrument and an estimated bid-offer spread for the financial instrument. 
 
     
     
         3 . The computer-based method of  claim 1 , wherein the data that is relevant to estimating cost information associated with the transfer of the low liquidity security does not include information directly related to the executable bid for the financial instrument and does not include information directly related to the executable offer for the financial instrument. 
     
     
         4 . The computer-based method of  claim 1  further comprising:
 receiving, on an ongoing basis at the computer-based interface device, additional or updated data that that is relevant to estimating cost information associated with the transfer of the low liquidity security; 
 updating, with the computer-based processor, the estimated fair value as the additional or updated data is received; and 
 replacing the presented scaled, graphical representation with an updated version of the scaled, graphical representation for display at the user interface terminal. 
 
     
     
         5 . The computer-based method of  claim 1  further comprising:
 presenting, for display at the user interface terminal, along with the scaled, graphical representation, additional information associated with the low liquidity security, 
 wherein the additional information associated with the low liquidity security includes one or more of: a numeric representation of the estimated fair price for the low liquidity security, a numeric representation of a bid price associated with the executable bid and a numeric representation of an offer price associated with the executable offer. 
 
     
     
         6 . The computer-based method of  claim 5  wherein the additional information associated with the low liquidity security further includes one or more of the following: a coupon rate, a maturity date, a size associated with the executable bid for the financial instrument, a size associated with the executable offer for the financial instrument and a numeric representation of the estimated bid-offer spread. 
     
     
         7 . The computer-based method of  claim 1  wherein the scaled, graphical representation is presented for display at the user interface terminal as part of a listing that includes other scaled, graphical representations,
 wherein each of the other scaled, graphical representations in the listing corresponds to an associated one of a plurality of different low liquidity securities. 
 
     
     
         8 . The computer-based method of  claim 7  wherein each of the other scaled, graphical representations shows an associated estimated fair value, including an associated estimated fair price or an associated estimated fair bid-offer spread, and an associated executable bid or executable offer for a corresponding one of the low liquidity securities. 
     
     
         9 . The computer-based method of  claim 7  wherein the scaled, graphical representation and the other scaled, graphical representations are listed relative to one another for display at the user interface terminal in such a manner as to facilitate a user's comparison of relative quality of the bids and offers for the different low liquidity securities based on the respective estimated fair values. 
     
     
         10 . The computer-based method of  claim 1  wherein the scaled, graphical representation comprises:
 a first visual element having: 
 a first edge; and 
 a second edge opposite the first edge; and a first marking to identify a position on the first visual element between the first edge and the second edge, 
 wherein the first edge corresponds to a lower end of a band defined by the estimated bid-offer spread relative to the estimated fair price, 
 wherein the second edge corresponds to an upper end of the band defined by the estimated bid-offer spread relative to the estimated fair price, and wherein the position on the first visual element identified by the first marking corresponds to the estimated fair price along a scaled extent that includes the first visual element. 
 
     
     
         11 . The computer-based method of  claim 10  wherein the position identified by the first marking is centrally located between the first edge and the second edge. 
     
     
         12 . The computer-based method of  claim 10  wherein the scaled, graphical representation further comprises at least one of:
 a second marking to identify a position along the scaled extent that corresponds to the executable bid for the financial instrument; and a third marking to identify a position along the scaled extent that corresponds to the executable offer for the financial instrument. 
 
     
     
         13 . The computer-based method of  claim 10  wherein the first visual element appears at the user interface terminal as a bar. 
     
     
         14 . The computer-based method of  claim 13  wherein the estimated bid-offer spread defines a lower end of the bar and an upper end of the bar. 
     
     
         15 . The computer-based method of  claim 1  wherein the low liquidity security is a financial instrument in the fixed income or derivatives market. 
     
     
         16 . The computer-based method of  claim 1  wherein the indication of the at least one executable bid is received from a first remotely-located user computer terminal over a network, or wherein the indication of the at least one executable offer is received from a second remotely-located user computer terminal over the network. 
     
     
         17 . The computer-based method of  claim 1  wherein calculating the estimated fair value comprises calculating using data from or related to one or more of the following: interest rate swaps, swaption volatility; trades in the fixed income or derivatives markets reported by the Financial Industry Regulatory Authority under the Trade Reporting and Compliance Engine (TRACE) program, swap execution facilities, swap data repositories, treasury pricing, market observations, correlated bank credit default swaps, supply and demand technicals, comparable bonds and equities. 
     
     
         18 . A computer-based method comprising:
 presenting, for display at a user interface terminal, a scaled, graphical representation of: an estimated fair price for a financial instrument traditionally available only over-the-counter;   an estimated bid-offer spread for the financial instrument; and at least one of either an executable bid for the financial instrument and an executable offer for the financial instrument,   wherein the scaled, graphical representation comprises:
 a bar having a first edge and a second edge, wherein the second edge is opposite the first edge; 
 a first marking to identify a first position on the bar between the first edge and the second edge, wherein the first position on the bar corresponds to the estimated fair price along a scaled extent that includes the bar, 
   wherein the first edge of the bar corresponds to a lower end of a band defined by the estimated bid-offer spread about to the estimated fair price and the second edge corresponds to an upper end of the band; and   at least one of either a second marking to identify a position along the scaled extent that corresponds to the executable bid for the financial instrument and a third marking to identify a position along the scaled extent that corresponds to the executable offer for the financial instrument.   
     
     
         19 . The computer-based method of  claim 18  wherein the financial instrument traditionally available only in the over-the-counter marketplace is a financial instrument in the fixed income and derivatives markets. 
     
     
         20 . The computer-based method of  claim 18  further comprising:
 calculating the estimated fair price and the estimated bid-offer spread based on data that is not directly related to the executable bid for the financial instrument and the executable offer for the financial instrument.